Hi

I am looking for a white paper or some literature that shows / proves how to price cap floor surface with eurodollar future options.

<t>You can think of the basis as the credit rating for a currency. If the market deems that the currency has a "low credit rating," the interest rate you are willing to pay for borrowing that currency will be below the market rate. Lets say you are forced to borrow a currency and your choices are US...

<t>Hi, I have seen/read about models used to predict the USDCNY FX fixing rate used in the NDF markets. I believe some people have been able to predict the direction of the fixing (compared to the previous day) successfully over 80% of the time. Has anyone had experience with these models, or have a...

<t>Thanks. I did some more research yesterday. Is it correct that the DI futures are traded almost like a ois swap. Where you are trading an instrument that has an implied start date of spot and an implied maturity of the futures expiration. For example, if I was to buy the Oct 14 contract today, my...

Can anyone help with some basic DI futures information. To what rate do the contracts expire to? I am used to trading Eurodollar and Fed Fund futures. Do the DI rates settle to an average CETIP rate? If so, what period is averaged to get the rate? Any information would be helpful

HiAnyone have any experience working with bus/252 day count. It is used by the Brazil interest rate market. I am trying to figure out if there is a way to convert a bus/252 rate to an act/360 rate equivalent.Thanks

HiDoes anyone know how the central bank of brazil conducts it swap auctions and how this indirectly effects the USD/BRL exchange rate.Thanks

have you had any sucess with building ndf curves. I am also looking to do this for short dated more liquid currencies

TED Spread is a very generic term, but usually refers to Treasury vs Eurodollar strip...or better known as swap spreads.

HiDoes anyone know the mexican rate/fx markets? Is there an ois market that is liquid.

<t>Yes most vol desks are always being asked to sell vol. But there are plenty of hedges. As mentioned below, tsy futures in the US and eurodollar options (have good correction to the ULC). in europe, there are futures on euribor futures. Also, they is plenty of desire to sell vol based on rv tradin...

You will have to post collateral against the MTM of the position

There where some talks of the US Treasury issuing putable bonds, gives the buyer the right to put the bond back to the treasury. Since the buyer of the bond is then long vol, he becomes a natural seller of vol.

There are a couple of techniques, such as looking at the slope of the period gaps before. Most of the time it is really just supply and demand based on exotic options flows (20y20y 10y30y, ect..)

I have seen this done, but with the use of an excel add in from a off shelf electronic execution system